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Calendar Anomalies: Daylight Savings Effects
No full textFinancial markets do not always adhere to the efficient market model, therefore investors can take advantage of market anomalies. In this paper we will analyse market imperfection related to particular dates or periods of the civil year. We will focus on one anomaly, the daylight savings effect, that could be considered a special case of the Monday effect. The daylight savings effect happens on Monday as well, but only twice a year: when a one-hour saving is introduced in Spring and when the same is suspended in Autumn. The work is divided into two sections: first, the daylight saving effect will be considered within the general context of calendar anomalies treated by specialised literature during the past 20 years; then the presence of this effect will be assessed with reference to the Italian market. To this end we will refer to an empirical analysis based on the Italian COMIT stock index for the 1973-2003 period
Calcio e stati d’animo: una verifica sulle società quotate sul Mercato Telematico Azionario
No full textSmall cap e large cap sul mercato italiano: un confronto basato sull’impatto delle notizie
No full textNotizie, prezzi, volumi: il comportamento delle small caps sul mercato telematico azionario
No full textAlternative Assets: Un confronto tra le commodities e le classi di investimento tradizionale
No full textLe tradizionali scelte di composizione del portafoglio comprendono: azioni, obbligazioni, liquidità e in alcuni casi immobili. Nell'ultimo quinquennio, in conseguenza degli effetti della bolla speculativa e della ripresa della crescita dei tassi di interesse, l'attenzione dei gestori di portafoglio si è orientata alla ricerca di extra rendimenti generati da classi di investimento alternative (hedge funds, private equity, credit derivatives, commodities). Le commodities, trattabili sui mercati a pronti e in quelli a termine, si caratterizzano per la presenza di correlazione negativa con le asset class tradizionali e di conseguenza facilitano il raggiungi mento dell'obiettivo di ricercare l'alfa, che esprime il rischio non sistematico. Le commodities hanno evidenziato una significativa performance nell'ultimo biennio raggiungendo rendimenti superiori al 15%
Dalle rappresentazioni tradizionali alla modellizzazione informatica: l'attività del laboratorio di disegno e progetto
No full textCalendar Anomalies:Daylights Savings Effect
No full textAcademics and practioners analysed equity returns, trying to link anomalous returns with a recurring period of time, this bore a new research area: the so called calendar anomalies, where we should mean as an anomaly any such event that could not be explained using the efficient market theory, or any other ordinary theory prevailing in finance literature.
Once an anomaly as been identified, its effect tend to mitigate, since investors understand it and embed it in security prices, these are adjusted on the base of this now public information.
Coming to specific anomalies, the most common ones are those concerning given year phases.
This paper will focus on an anomaly that could be considered a special case of a perhaps much known one, the Monday effect, we will instead analyse the daylight saving effect, which happens on Monday as well, but only two times a year, that is when one hour saving is introduced (during spring) and when the same is suspended (during autumn), both the cases possibly affecting investors mood on the markets.
The work will be departed into two sections: we first try to set the daylight saving effect against give the big framework of calendar anomalies treated by specialised literature in the last 20 year, thereafter we will assess the presence of this effect with reference to Italian market. In this case we will recur to an empirical analysis based on the Italian stock index COMIT for the period 1973-2003
Alternative Assets: A Comparison between Commodities and Traditional Asset Classes
No full textThe traditional choices of asset allocation include: stocks, bonds, liquidity and also real estate. In the last five years, in consequence of the effects of the speculative bubble and of the new growth of interest rate, the attention of the managers of the portfolio is focalised on alternative assets, like hedge funds, private equity, credit derivatives, commodities, to research extra return.
The commodities, traded on spot and forward markets, are characterised by the presence of negative correlation with traditional asset classes; therefore they help to obtain the search of the ``alpha'', which expresses the non systematic risk. The commodities have reached a meaningful performance in the last two years, especially the most important commodities index: Reuters/Jeffries-CRB (Commodities Research Bureau) Index and Standard \& Poor's Commodity Index (S\&P GSCI) have reached returns on over 15\%.
In this paper we will examine the relationship between the portfolio returns with the presence of commodities or with traditional asset classes (stocks, bonds and liquidity)
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